further improve the other method's forecasting performance. The performance of using BMA to forecast bond excess return is … model in forecasting one-month-ahead yield curve. We apply BMA to forecast the government bond yield change and indicate BMA …This research investigates the macro factors for forecasting (1) bond risk premia and (2) term structure of government …

In the short-run, bond risk premia exhibit pronounced spikes around major economic and financial crises. In contrast …, long-term bond risk premia feature cyclical swings. We empirically examine the predictability of the market variance risk … premium – a proxy of economic uncertainty – for bond risk premia and we show the strong predictive power for the one month …